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--- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paul.tsho@xxx> wrote:
> Progster, you're correct in your interpretation. The only correction
> needed is that Tomasz first posted the original code, I added the
> storage part.
Paul - Thanks for the confirmation!
Below I add-on to this code a bit by making it write to the NotePad a
note which tells the observer what the OI field actually is showing.
I've also made the metric a parameter.
Something strange though - when I change the metric and re-run, all
the symbols update OI to reflect the new metric _except_ for the one
which is currently displayed. This is as observed in the NotePad.
Can anyone tell why that might be?
(Tested in AB 5.14.0)
___
/*
OrdinalRankFast_01.afl
Uses custom backtester to do very fast ordinal ranking, writing the
result
to the OI field.
Demo ranking by ROC OR RSI is provided.
Run this code as a Backtest.
*** WARNING: This code will change your database! ***
Original code by: Tomasz Janeczko and Paul Ho
Originally from:
http://finance.groups.yahoo.com/group/amibroker/message/126512
7/9/2008 Progster Added comments, and code to log actions by this AFL
in the NotePad.
Made the ranking a parameter.
Changed RSI case to behave like the ROC case. This makes the range
of the OI field span the
# of stocks in the list to which this AFL is applied.
Observed that the symbol in the current chart does not update (!?)
*/
Announcement = "OI field has been set by OrdinalRankFast_01.afl" ;
run = Param( "run", 1, 1, 2, 1 );
function ranking( Ordinal )
{
switch ( Ordinal )
{
case 1:
res = ROC( C, 14 ) + 1000;
break;
case 2:
res = RSI( 14 );
break;
default:
res = EMA( C, 50 );
break;
}
return res;
}
// WHAT YOU WANT TO RANK
// Internally, AB will sort/order the backtester's 'Signal' objects
according to
// absolute value of PositionScore. Later in the code, we will
retreive from these
// objects by stepping thru them sequentially. Since the 'Signal'
objects have already
// been sorted by AB into PositionScore order, the order in which they
will be
// encountered when we step-thru them _is_ the ordinal order of the
ranking metric.
PositionScore = ranking( run );
SetOption( "MaxOpenPositions", 50 ); //AB only keeps 2* maxpos top
rank signals
SetBacktestMode( backtestRegularRaw );
Buy = 1; // make a buy signal for every stock on every bar
Sell = Short = Cover = 0;
ab = CreateObject( "broker.Application" );
// IsDirty flag tells AB that data has changed so when the user press
save, that area of the database is saved.
// Since this AFL will update the OI field, we mark the 'Stock' as
changed.
target = ab.Stocks( Name() ); // select a single 'Stock' object from
the 'Stocks' collection
target.isDirty = True;
SetCustomBacktestProc( "" ); // empty argument means use current AFL
formula
if ( Status( "action" ) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess();
dt = DateTime();
// fh = fopen("output.csv", "w"); uncomment these if you want to save
it to a csv file as well
// fputs("Symbol,Date,Rank\n", fh);
// On every bar
for ( i = 0; i < BarCount; i++ )
{
// For every signal ... (one for each stock in this case, based on
Buy = 1, above)
k = 1;
for ( sig = bo.GetFirstSignal( i ); sig; sig =
bo.GetNextSignal( i ) )
{
// Line = sig.Symbol + "," + DateTimeToStr(dt[i]) + "," + k +
"\n";
// fputs(Line, fh);
target = ab.Stocks( sig.Symbol ); // select a 'Stock'
object from the 'Stocks' collection
qt = target.Quotations( DateTimeToStr( dt[i] ) ); //
select a 'Quotation' object from the 'Quotations' collection
// The index (k) into the sorted 'Signal' collection is the ordinal
ranking.
if ( qt )
{
if ( run == 1 ){ // ROC case
qt.OpenInt = k;
NoteSet( sig.Symbol, sig.Symbol + " - OI displays: " + "ROC
ranking\n" + Announcement ) ;
NoteSet( sig.Symbol, NoteGet(sig.Symbol) + "\n" +
"Highest ROC(14) is lowest number.\n" );
}
else if ( run == 2 ){ // RSI case
// qt.OpenInt += k; // why?
qt.OpenInt = k;
NoteSet( sig.Symbol, sig.Symbol + " - OI displays: " + "RSI
ranking\n" + Announcement ) ;
NoteSet( sig.Symbol, NoteGet(sig.Symbol) + "\n" +
"Highest RSI(14) is lowest number.\n" );
}
else{
qt.OpenInt += k; // other cases (why?)
}
}
// target.isDirty = True; // not necessary
k++;
}
}
bo.PostProcess();
// if(fh)fclose(fh);
} // end of: if ( Status( "action" ) == actionPortfolio )
// Try this at the end, to make OI for the currently displayed symbol
update.
// Not a fix.
// target = ab.Stocks( Name() ); // select a single 'Stock' object
from the 'Stocks' collection
// target.isDirty = True;
------------------------------------
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